Optimum consumption and portfolio rules in a continuous-time model☆
TLDR
In this paper, the authors considered the continuous-time consumption-portfolio problem for an individual whose income is generated by capital gains on investments in assets with prices assumed to satisfy the geometric Brownian motion hypothesis, which implies that asset prices are stationary and lognormally distributed.About:
This article is published in Journal of Economic Theory.The article was published on 1971-12-01 and is currently open access. It has received 4952 citations till now. The article focuses on the topics: Geometric Brownian motion & Intertemporal portfolio choice.read more
Citations
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Journal ArticleDOI
Dynamic Pairs Trading Using the Stochastic Control Approach
Agnès Tourin,Raphael Yan +1 more
TL;DR: In this paper, a model for analyzing dynamic pairs trading strategies using the stochastic control approach is proposed, where the portfolio consists of a bank account and two co-integrated stocks and the objective is to maximize for a fixed time horizon, the expected terminal utility of wealth.
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An Affine Control Method for Optimal Dynamic Asset Allocation with Transaction Costs
TL;DR: A novel and computationally efficient approach to constrained discrete-time dynamic asset allocation over multiple periods is presented, able to control portfolio expectation and variance at both final and intermediate stages of the decision horizon.
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Asset Trading Volume with Dynamically Complete Markets and Heterogeneous Agents
TL;DR: In this paper, the authors show that trading volume of infinitely lived securities, such as equity, is generically zero in Lucas asset pricing models with heterogeneous agents, and that other causes of trade must be present in asset markets with large trading volume.
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An Alternative Valuation Model for Contingent Claims
TL;DR: In this paper, an alternative valuation approach is proposed to derive closed-form solutions for bonds, bond options, individual stocks, and stock options under both power utility and exponential utility functions.
Book ChapterDOI
Numerical Solution of Stochastic Differential Equations
TL;DR: In this article, the authors used stochastic differential equations (SDEs) to model the movements of risky asset prices and interest rates in finance, where the solutions of SDEs are of a different character compared with those of classical ordinary and partial differential equations.
References
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Journal ArticleDOI
Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case
TL;DR: In this paper, the combined problem of optimal portfolio selection and consumption rules for an individual in a continuous-time model was examined, where his income is generated by returns on assets and these returns or instantaneous "growth rates" are stochastic.
Book
The theory of stochastic processes
David Cox,Hilton D. Miller +1 more
TL;DR: This book should be of interest to undergraduate and postgraduate students of probability theory.
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Lifetime Portfolio Selection By Dynamic Stochastic Programming
TL;DR: In this paper, the optimal consumption-investment problem for an investor whose utility for consumption over time is a discounted sum of single-period utilities, with the latter being constant over time and exhibiting constant relative risk aversion (power-law functions or logarithmic functions), is discussed.
Book
Stochastic Stability and Control
TL;DR: In this article, a book on stochastic stability and control dealing with Liapunov function approach to study of Markov processes is presented, which is based on the work of this article.
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